Objective

Current income and long-term capital appreciation

Strategy

Uses top down macroeconomic analysis, along with fundamental industry and company research, to capture inefficiencies in the valuation of sectors and individual securities; this is combined with duration management (+/– 2.5 years of the benchmark) in pursuit of above-benchmark returns over a full market cycle

Fund Facts
Asset Manager
  • Brandywine Global Investment Management(Since 2/28/2019)
  • Longfellow Investment Management(Since 5/1/13)
Benchmark Bloomberg Barclays 1-5 Year Government/Credit
Fund Inception Date Class A & Class B: May 1, 2013
Mimimum Investment Class A: No minimum; Class B: $5 million
Expense Ratio Class A: 0.56%; Class B: 0.41%

Annual Average Total Returns
(%) as of 06/30/2020

Trailing 3 Months 1 Year 3 Years 5 Years 10 Years
CUIT Opportunistic Bond Fund Class A 5.24 5.02 3.32 2.75 *
CUIT Opportunistic Bond Fund Class B 5.23 5.11 3.46 2.89 *
Bloomberg Barclays 1-5 Year US Government/Credit Index 1.77 5.43 3.49 2.63 *
Calendar Year 2019 2018 2017 2016 2015 2014
CUIT Opportunistic Bond Fund Class A 5.35 0.82 1.63 2.54 0.98 1.23
CUIT Opportunistic Bond Fund Class B 5.56 0.96 1.78 2.69 1.23 1.27
Bloomberg Barclays 1-5 Year US Government/Credit Index 5.01 1.38 1.27 1.56 0.97 1.42

 

Source: BNY Mellon, SS&C

Characteristics as of 06/30/2020

Statistics Fund Index
Average Maturity (Yrs) 4.8 2.8
Effective Duration (Yrs) 3.3 2.7
Average Quality A AA
Yield-to-Maturity 2.5% 0.5%
Current Yield 3.2% 2.0%
# of Securities 307 2,995
Effective Duration Fund Index
< 1 Year 30.9 3.6
1 - 3 Years 26.6 57.8
3 - 5 Years 34.2 38.6
5-7 Years -2.3 0.0
7-10 Years 3.6 0.0
10-20 years 6.1 0.0
> 20 years 0.8 0.0
Market Sector Analysis Fund Index
Treasury and Gov’t Related 18.6 73.0
Corporate 41.5 27.0
MBS 3.2 0.0
CMBS 12.1 0.0
ABS 11.0 0.0
Merger/Arbitrage 10.7 0.0
Cash 2.8 0.0
Credit Quality Fund Index
AAA 39.7 69.6
AA 9.0 4.7
A 18.5 13.1
BBB 24.8 12.6
Below BBB 8.0 0.0
Risk Metrics Fund
(5 YR)
Index
(5 YR)
Standard Deviation 2.4 1.5
Tracking Error 2.0 N/A
Sharpe Ratio 0.9 1.0
Information Ratio 3.0 N/A
Upside Capture 100.7 100.0
Downside Capture 25.0 100.0

 

Source: FactSet, eVestment
Credit Quality: Cash is included in AAA
Effective Duration: Cash is included in <1 Year

  • Q2 2020 Performance Review

    12-Month Review

    • For the bond only portfolio, the Fund’s sector allocation accounted for virtually all of the underperformance for the period. Duration positioning was slightly positive while yield curve positioning and security selection were slightly negative. Although the Merger/Arbitrage allocation was additive and resulted in overall outperformance.
    • The overall duration posture had a slightly positive impact for the full year.
    • Curve positioning was slightly negative/neutral for the period.
    • Sector allocation was the primary driver of underperformance for the year due to the macro events of the first quarter as investors rushed to safe-haven Treasuries. Exposure to ABS and CMBS were the primary reason for the negative impact from sector allocation.
    • Security selection was slightly negative as holdings within Industrials underperformed; this was offset somewhat by positive contributions from the Financials holdings.
    • The positive returns of the Merger/Arbitrage allocation more than offset the underperformance of the bond portfolio.

    3-Month Review

    • The Fund outperformed its benchmark in the second quarter. The Fund benefitted from a rebound in the bond portfolio and an extraordinarily strong Merger/Arbitrage allocation.
    • There was minimal impact from the Fund’s duration posture given little movement in rates.
    • Yield curve positioning was slightly negative/neutral.
    • Sector allocation had the largest impact on relative performance as the significant underweight to Treasuries combined with overweights to Corporates and exposure to ABS and CMBS added substantially.
    • Security selection slightly positive in the second quarter. Specific holdings within Industrials accounted for much of the positive stock selection results with issues in Energy accounting for the positive results.

    Current Positioning

    • Duration position is longer than the benchmark
    • The Fund is positioned toward a neutral to slight flattening across the Yield curve.
    • Sector exposure emphasizes corporates and securitized areas, which is supported by a continued underweight to Treasuries.
    • High yield exposure was similar to the allocation at the end of the 1st Allocation to high yield securities is predominately held in BB and B credit buckets.

 

All attribution is based on gross portfolio performance.

  • Fund Fact Sheet

    PDF
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